dselivanov / convbondLinks
convertible bond pricing
☆13Updated 11 years ago
Alternatives and similar repositories for convbond
Users that are interested in convbond are comparing it to the libraries listed below
Sorting:
- ☆18Updated 7 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- Pricing autocallable barrier reverse convertibles (aka snowball structure contract) using monte carlo☆12Updated 2 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Option Strategy for Futures☆15Updated 5 years ago
- A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation …☆13Updated 3 years ago
- ☆16Updated 4 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆11Updated 6 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆19Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Market making strategies and scientific papers☆13Updated 2 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆13Updated 3 years ago
- ☆22Updated 7 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Python demo code for LOBSTER limit order book data☆13Updated 5 years ago
- ☆25Updated 7 years ago
- ☆21Updated 6 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆18Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Updated last year
- We propose using Probabilistic Graphical Models such as Bayesian Networks and Hidden Markov Models to construct a global-macro trading st…☆11Updated 7 years ago
- ☆24Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆13Updated 2 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- High Frequency Trading Strategy☆12Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- The strategy-backtesting repository will hold the event driven python backtester. This program will test algorithmic strategies and pro…☆17Updated 9 years ago